This thesis considers the link between financialisation and emerging market government policy autonomy. It analyses the government bond markets of three case study countries: Brazil, Lebanon and Turkey. Using extensive interview data in the three countries, and interviews with financial market actors in London and New York, the study explores the investment behaviour of a range of investors: commercial banks; individual investors; mutual funds; pension funds and hedge funds. The thesis uses the framework of financialisation – measured by the ability to trade risk – to analyse both international and domestic investors. The study shows that increased financialisation, of both financial market actors and the structure of government bond markets, generally serves to reduce loyalty and therefore reduces government policy autonomy. However, it is demonstrated that initial financialisation – the development of pension and mutual funds – serves to increase autonomy. This is captured by the construction of an ‘autonomy curve’. The conclusions suggest an updating the use of Hirschman’s concept of voice, exit and loyalty in the analysis of financial markets, to give a greater emphasis on loyalty and to include the use of ‘disloyalty’, the ability to short securities. It is also argued that financialisation is the appropriate framework to analyse processes of change in financial markets. The thesis also makes observations as to the true extent of government policy autonomy in emerging market countries, and policy recommendations regarding those governments’ attitude to financialisation.

This paper examines for the first time the relationship between the net issue values of aggregate bonds, as well as the different bond sectors separately, and economic growth. The other new feature of this study is the usage of quarterly data. Granger causalities are calculated for time series of 15 European countries, the USA, and Japan in order to test if there is a positive relationship between the development of bond markets and economic growth also for shorter time periods. The significant Granger causalities found show the following tendency: Economic growth is causal for net issue values of government bonds, and net issuance of corporate and financial institutions bonds are causal for economic growth. That finding is important for the future architecture of the financial sector, in particular in emerging markets and the new EU member countries. (author's abstract) / Series: EI Working Papers / Europainstitut

We use annual real GDP and the volume of the bond, stock and credit markets to assess the causal relationship between the aggregate bond market development and economic growth in the USA, Japan, Germany, Great Britain, Italy, France and the Netherlands over the 1950 to 2001 period. The literature on the real - financial nexus to date has focused on the credit and stock markets, with few exceptions. Partially due to data availability problems, the impact of bond markets on economic growth has not yet been examined in the same way. To fill this gap we provide empirical evidence for long-run equilibrium and Granger causality in at least one direction in the relationship among real GDP and bond, credit and stock markets in seven economies with large bond markets. The supplyleading hypothesis that development of the financial markets enhances growth is supported in all countries except for Germany. The demand-leading hypothesis that economic development pulls the development of the financial markets is supported only for Germany. A feedback between domestic credits and output is found in Japan. There is evidence for a feedback between the equity markets and real output in Japan and the Netherlands. (author's abstract) / Series: EI Working Papers / Europainstitut

In this thesis, we analyse financial contagion between Southern European (Greek, Italian, Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock markets respectively sovereign bond markets in the period from January 2001 to June 2016. A quantile regression framework is applied to analyse contagion based on measuring of occurrences and degrees of co-exceedances. We use conditional variance (volatility) of analysed markets to find direction of the contagion. Our results show that during the analysed period contagion between stock markets exists. Contagion between stock markets is stronger during the financial and sovereign debt crisis. Direction of contagion is from Southern European to Central Eastern European Countries. We do not find evidence of contagion between Sothern European and Central Eastern European sovereign bond markets. Our results show "flight to quality", but not "flight from quality".

M.Comm. / This study investigates the extent to which South African financial markets are globalised and thus, during the period 1994–2008, integrated with global financial markets. The impact of globalisation on the South African economy is complex. South Africa re-entered the international economy from isolation at a time when the forces of globalisation, especially for developing countries, seemed to gain momentum. The following study focus on equity, foreign exchange and bond markets. The period under study is divided between 1994-2008 and 2000-2008, with the exception of the bond market where the data was challenging to source. Empirical evidence suggests that South African financial markets together with those in emerging economies became increasingly globalised during the period 1994–2008. Analysis finds that South Africa’s equity markets were integrated as common/global factors influenced the markets during the period 1994-2008. According to the findings, SA was even more integrated than the average emerging economies in our sample as global/common factors influenced more of SA equity returns than in emerging economies. However, in general, developed economies were more globalised in both periods under study. However, analysis indicates that common factors play a larger role in determining the fluctuations in the foreign exchange market rather than in equity markets. This implies that foreign exchange markets are more globalised and integrated than equity markets. Global factors only determined 48% of the movement South Africa’s currency during the period 1994-2008, while global factors were more significant in the movement of developed and emerging economies’ currencies during the same period. However, SA foreign exchange market’s integration into the global markets increased with 2000-2008 variance share increasing to 0.97, implying that global factor were responsible the 97% of the variation in the exchange rate – higher than the average variance share recorded for developed and emerging economies. Finally, results for the bond markets show that SA bond market was also closely integrated with global markets although the level of integration was less than that recorded in the foreign exchange rate markets during the 2000-2008.

This paper examines the relationship between the development of the aggregate bond markets and real GDP in 13 highly developed economies. The recent interest in the ties between the real and the financial sector has usually been on the banking sector and the stock markets, rather ignoring the bond markets as a third essential source of external finance. We fill this gap by providing empirical evidence for causality patterns supporting the supply-leading approach in the USA, UK, Switzerland, Germany, Austria, the Netherlands and Spain over the 1950 to 2000 period. In the cases of Japan, Finland and Italy we find evidence of interdependence between bond market capitalization growth and real output growth. Granger causality test and co-integration approach are employed to support this conjecture. (author's abstract) / Series: EI Working Papers / Europainstitut

Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006.

Cette thèse étudie le financement obligataire des entreprises. Les résultats soulignent le rôle de l’environnement légal et de la gouvernance. Le premier chapitre démontre le rôle de la protection et l’information des créanciers sur le marché obligataire. Il identifie un impact non homogène entre les firmes. Le second chapitre analyse l’impact d’une émission obligataire sur la valeur d’une entreprise à l’aide d’une méta-analyse. Il souligne les facteurs expliquant des résultats jusqu’alors divergents dans la littérature. Le troisième chapitre se focalise sur le marché des émissions obligataires des entreprises chinoises et met en exergue le rôle de la propriété étatique et managérial sur la valeur créée par une émission obligataire. Enfin, le quatrième chapitre isole un biais religieux des investisseurs professionnels, et contribue à la littérature comportementale s’intéressant à la valeur de l’entreprise. / This dissertation studies the corporate bond market. Results emphasize the role of legal environment and governance. The first chapter demonstrates the role of creditors’ protection and information on the corporate bond market. It identifies a non-homogenous impact across firms. The second chapter uses a meta-analysis to scrutinize the effect of a bond offering on the firm’s value. It stresses the reasons underlying diverging results in the literature so far. The third chapter focuses on the Chinese corporate bond market and highlights the role of state and management ownership on the value created by a bond offering. The fourth chapter isolates a religious bias from professional investors and contributes to the literature on the impact of behavioural biases on the firm’s value.

The thesis deals with the corporate bond markets as well as corporate bonds themselves. The main goal of the thesis is to identify and prove the fundamental aspects and prerequisites that influence the development of corporate bond markets, and restrict or encourage companies to issue bonds. The thesis also contains explanations of various phenomena associated with corporate bonds, which occur during the time.

No / Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a systematic approach of constructing non-Markov Gaussian dynamic term structure models (GDTSMs) under the Heath-Jarrow-Morton (HJM) framework. Compared to the current literature, our approach is more flexible and parsimonious, enabling us to estimate an economically significant non-Markov effect that helps predict excess bond returns both in-sample and out-of-sample.